In the news just this morning I saw that L.L. Bean is sueing some outfit which pops up unrelated ads anytime the user navigates to the LL Bean web site.
http://www.lavasoftusa.com/software/adaware/ for AdAware
http://www.safer-networking.org/index.php?page=download for SpyBot 1.3
These are scanners that you have to run every so often, and they will find rogue programs that have been inadvertently downloaded to your machine.